Selecting Chinese Stocks by Daily Range, Recent Limit-Ups, and Auction Gap

Summary

This stock-screening idea selects shares whose daily high-to-low range exceeds one percent, that have had at least one limit-up session during the previous 25 days, and whose current opening-auction change falls between minus two and five percent. The post interprets range as a sign of higher volatility, a recent limit-up as evidence of notable price action and market interest, and the auction range as a way to favor stocks with buying interest.

The article includes formula and Python examples intended to implement the conditions and form a candidate pool. It warns that the screen does not adequately assess company fundamentals and may be vulnerable to weak earnings, poor overall market conditions, and fast-changing market themes. Suggested improvements include adding financial and industry analysis, broadening technical filters, and monitoring positions for timely exits. No performance results or validation are reported, and the screen itself does not define portfolio sizing or exit rules.

Key ideas

• The screen requires a daily high-to-low range above one percent and a limit-up event in the prior 25 days.
• It also restricts the opening-auction change to a range from minus two to five percent.
• The post offers formula and Python examples for generating candidate stocks.
• The author warns that the selection logic gives limited weight to company fundamentals and market conditions.
• Suggested refinements include adding fundamental and technical analysis and monitoring positions for risk.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.